Cluster formation and evolution in networks of financial market indices
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Cited by:
- Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2017.
"Equity markets’ clustering and the global financial crisis,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(12), pages 1905-1922, December.
- León, C. & Kim, Geun-Young & Martínez, Constanza & Lee, Daeyup, 2016. "Equity Markets’ Clustering and the Global Financial Crisis," Other publications TiSEM e5c31b4d-dc83-4d3e-9a73-b, Tilburg University, School of Economics and Management.
- León, C. & Kim, Geun-Young & Martínez, Constanza & Lee, Daeyup, 2016. "Equity Markets’ Clustering and the Global Financial Crisis," Discussion Paper 2016-016, Tilburg University, Center for Economic Research.
- Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee, 2016. "Equity Markets’ Clustering and the Global Financial Crisis," Borradores de Economia 937, Banco de la Republica de Colombia.
- Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
- Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Uddin, Gazi Salah, 2017.
"Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets,"
European Journal of Operational Research, Elsevier, vol. 256(3), pages 945-961.
- Bekiros, Stelios & Nguyen, Duc Khuong & Sandoval Junior, Leonidas & Salah Uddin, Gazi, 2015. "Information Diffusion, Cluster formation and Entropy-based Network Dynamics in Equity and Commodity Markets," MPRA Paper 73397, University Library of Munich, Germany, revised Feb 2016.
- Zeitsch, Peter J., 2019. "A jump model for credit default swaps with hierarchical clustering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 737-775.
- Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
- Wang, Gang-Jin & Xie, Chi, 2015. "Correlation structure and dynamics of international real estate securities markets: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 176-193.
- Nobi, Ashadun & Lee, Jae Woo, 2016. "State and group dynamics of world stock market by principal component analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 85-94.
- Leonidas Sandoval Junior & Asher Mullokandov & Dror Y. Kenett, 2015. "Dependency Relations among International Stock Market Indices," JRFM, MDPI, vol. 8(2), pages 1-39, May.
- Leonidas Sandoval Junior, 2014. "Dynamics in two networks based on stocks of the US stock market," Papers 1408.1728, arXiv.org, revised Aug 2014.
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Keywords
networks; financial markets; cluster; evolution;All these keywords.
JEL classification:
- E00 - Macroeconomics and Monetary Economics - - General - - - General
- G00 - Financial Economics - - General - - - General
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